Tim Haywood, Julius Baer

The search for absolute returns

Julius Baer Absolute Return Bond Funds

Tim Haywood, CEO & Portfolio ManagerAugustus Asset Managers Limited

17th March 2009

For professionalclients only!

2

Delegation of investment management

Each of the Julius Baer Absolute Return Bond Funds has appointed Augustus Managers Limited as its sub-advisor, with full responsibility for portfolio management.

The following presentation has been created by Bank Julius Baer & co, Zurich.

3

Short-term rates heading fast towards 0% globallyCentral bank monetary policy rates, as of March 5, 2009

Source: Datastream, Bloomberg, Julius Baer

% %

North America

0

1

2

3

4

5

6

Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09

US Canada

Western Europe

0

1

2

3

4

5

6


EMU UK Sw eden Norw ay Sw itz

Japan%

0

1

2

3

4

5

6


Australia & New Zealand%

3

4

5

6

7

8

9


Australia New Zealand

LEH default

LEH default

LEH default

LEH default

4

"Safe" is hardly "risk-free"… 5-year single name CDS spreads; sovereigns; as of February 27, 2009

Source: Bloomberg, Julius Baer

Bps

Dramatically higher risk premiums…

0

50

100

150

200

250

300

350

400

Feb-08 Apr-08 Jun-08 Aug-08 Oct-08 Dec-08 Feb-09

Germany France Netherlands Austria Ireland Greece Italy Spain UK Portugal Belgium Sweden

Bps

GermanyFrance

Netherlands

Austria

Ireland

Greece

Italy

SpainUKPortugalBelgiumSweden

US Japan

Australia

Brazil

China

Peru

Poland

Slovakia

Thailand

NZ

Chile

Israel

Malaysia

Norway

Czech

50

100

150

200

250

300

350

400

450

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17

…move EMU sovereigns near EM space

AAA AA+ AA AA- A+ A A- BBB+ BBB

LEH default

Weighted average external credit rating (S&P/Moody’s)

5

…as "system" support triggers massive re-financing requirements…

Source: US Treasury Office of Debt Management, Julius Baer

-200

-100

0

100

200

300

400

500

600

1Q94 1Q95 1Q96 1Q97 1Q98 1Q99 1Q00 1Q01 1Q02 1Q03 1Q04 1Q05 1Q06 1Q07 1Q08 1Q09

US Treasury quarterly net primary issuance USD bn

6

…set to provide for steeper government curves… 2s/10s, based on government benchmark curves, as of February 27, 2009

Note: Month-end data. Source: Datastream, Bloomberg, Julius Baer

bps bps

North America

-50

0

50

100

150

200

250


US Canada

Western Europe

-50

0

50

100

150

200

250


EMU UK Sw eden Norw ay Sw itz

Japanbps

-50

0

50

100

150

200

250


Australia & New Zealandbps

-180

-120

-60

0

60

120

180


Australia New Zealand

LEH default

LEH default

LEH default

LEH default

7

…and "flight to quality" tradeBenchmark government bonds within a long- and short-term perspective

Source: US Federal Reserve, Datastream, Julius Baer

%

Further collapse in yields…

0

2

4

6

8

10

12

14

16

18

Apr-53 Apr-63 Apr-73 Apr-83 Apr-93 Apr-03

2yr US Treasuries 10yr US Treasuries

%

…but bottom appears to be nearing

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5

5.0

Dec-07 Mar-08 Jun-08 Sep-08 Dec-08

2yr US Treasuries 2yr German Schatz

LEH default LEH default

8

Risk assets trade way off fundamentals…Global High Yield Corporates, as of February 27, 2009

Source: Moody's, Merrill Lynch, Julius Baer

1'761

0

2

4

6

8

10

12

14

16

18

20

22

24

Apr-20 Apr-28 Apr-36 Apr-44 Apr-52 Apr-60 Apr-68 Apr-76 Apr-84 Apr-92 Apr-00 Apr-08

150

305

460

615

770

925

1080

1235

1390

1545

1700

1855

2010

Moody's actual global speculative grade default rate (number of issuers, %age market)Moody's projected global speculative grade default rate (number of issuers, %age of market)Global corporate high yield credit spread (rhs)Moody's actual average global speculative grade default rate (number of issuers, %age of market)

Ø 2.73%

% Default rate (number of issuers) Credit spread (basis points)

All-time high for defaults

9

…but massive de-leveraging is still ongoing…

Source: HFR, Julius Baer

-160

-120

-80

-40

0

40

80

120

160

200

'90 '92 '94 '96 '98 '00 '02 '04 '06 '08

NNM for hedge funds globally long-... USD bn

3716

59 59 46 3017 13

-31

-152

-160

-120

-80

-40

0

40

80

120

160

200

3Q06 4Q06 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08

…and short-term USD bnLEH default LEH default

10

...as is global repatriation trade continues…

Source: US Treasury TIC report, Julius Baer

-200

-150

-100

-50

0

50

100

150

200

250

'90 '92 '94 '96 '98 '00 '02 '04 '06 '08

Net US buying of foreign securities long- USD bn

48

101

7464

90

2

38 31

-88 -83

-100

-75

-50

-25

0

25

50

75

100

125

3Q06 4Q06 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08

…and short-term USD bnLEH default LEH default

11

…hitting EM FX in particularly hard % cumulative change in FX spot rates vs. USD

Note: Month-end data. Source: Datastream, Bloomberg, Julius Baer

% %

Americas

-60

-40

-20

0

20

40

60


Mexico Brazil ColombiaChile Peru Argentina

Europe

Middle East & Africa%

Asia%

LEH default

LEH default

LEH default

LEH default

-60

-40

-20

0

20

40

60


Turkey S Africa EgyptMorocco Nigeria Botsw ana

-60

-40

-20

0

20

40

60


China India S KoreaMalaysia Indonesia Philippines

-60

-40

-20

0

20

40

60


Poland Hungary Czech RepRussia Ukraine Romania

12 Source: Julius Baer

0

1

2

3

4

5

6

2 3 4 5 6 7 8 9 10 11

Target gross excess return vs. 3m Euribor (%)

Maximum annualised value-at-risk (%), 99% confidence

AbsoluteReturn

AbsoluteReturnPlus

AbsoluteReturn

Emerging

AbsoluteReturn

Defender

Product framework (1/2)Julius Baer fixed income absolute return fund range

13

Product framework (2/2)Julius Baer fixed income absolute return fund range

Absolute ReturnBond Fund Plus

Global Fixed Income

Long/Short

Long/Short

Long/Short

3m Euribor +3-5% p.a.

VaR 10% 99% Confidence Level

Max negative mDur -6yrs Max positive mDur +12yrs Min ⅔ Cash Bonds Max 50% Sub-InvGrade Max 30% Convertibles Max 5% Distressed No Shorting of Cash Bonds No financial Leverage No direct Equity Exp.

Absolute ReturnBond Fund

Global Fixed Income

Long/Short

Long/Short

Long/Short



Positive Returns across Market Cycles



Absolute ReturnEmerging Bond Fund

Global EM Fixed Income

Long/Short

Long/Short

Long/Short




Max negative mDur -6yrs Max positive mDur +12yrs Min ⅔ Cash Bonds Max 25% Convertibles

No Shorting of Cash Bonds No financial Leverage No direct Equity Exp.

Product

Investment universe

Rates exposure

Credit exposure

FX exposure

Return target

Risk budget

Investmentrestrictions

Investment aim

Absolute ReturnBond Fund Defender

Global Fixed Income

Long/Short

Long/Short

Long/Short


3m Euribor +¾-1¼% p.a.



Augustus Asset Managers Augustus Asset Managers Julius BaerInvestment adviser Augustus Asset Managers

31st May 2006 30th April 2004 31st December 2007Launch date 31st July 2008

14

Performance summary as of February 27, 2009

Note: All data based on GBP institutional share classes. Source: Lipper Hindsight, Julius Baer

% Net total return

0.0

0.5

1.0

1.5

2.0

2.5

3.0

3.5

4.0

Jul-08 Sep-08 Nov-08 Jan-09

Fund GBP 3-month Libor Lipper Global Money Market GBP Lipper Global GBP Short Term

Absolute Return BF Def.

0.0

4.0

8.0

12.0

16.0

20.0

24.0

28.0

32.0

Apr-04 Jun-05 Aug-06 Oct-07 Dec-08

% Net total return

Absolute Return BF % Net Total Return

Absolute Return BF Plus

-2.5

0.0

2.5

5.0

7.5

10.0

12.5

15.0

17.5

May-06 Jan-07 Sep-07 May-08 Jan-09

15

Team approach reflected in broad-based return profileAnnual performance attribution by main strategy, JB ARBF

Note: Due to possible timing lags between actual and modelled trade flows and corresponding prices paid, model returns may in individual cases marginally divert from actuals. Source: Julius Baer

5817 33 9

20

1314 4

-240

-160

-80

0

80

160

240

320

400

Rates Credit FX EQ-linked

-64

62

133

-104

60

-44 -37

-30

-240

-160

-80

0

80

160

240

320

400


71

349

75 60

59

52

3835

-240

-160

-80

0

80

160

240

320

400


172

6

-165

71

130

39

-64

71

-240

-160

-80

0

80

160

240

320

400


208

2989

179

117

18

136

83

-240

-160

-80

0

80

160

240

320

400


Emerging marketsCore markets

+859 bps

2005

+260 bps

2006

+737 bps

2007Basis points

-23 bps

2008 2009 (YTD)

+167 bps

16

Important legal Information

This document is intended for circulation to Professional Clients only.

The document has been issued by Julius Baer International Limited, 64 St James’s Street, London SW1A 1NF, which is regulated and authorised by the Financial Services Authority.

The information contained in this document has been produced solely for the use of the person to whom it is given or sent and may not be reproduced, copied or given, in whole or in part, to any other person. It is not an invitation to subscribe and is by way of information only. This document is subject to change without notice.

Source of data: Julius Baer (unless otherwise stated). Nothing in this document should be construed as investment advice nor does it constitute a recommendation or solicitation to buy shares. Any research or analysis used in the preparation of this document is based upon sources believed to be reliable but no representation or warranty is given as to the accuracy or completeness of those sources. Any opinions, estimates or forecasts are subject to change at any time. Companies of Julius Baer Group, their employees or associates may from time to time hold shares in one or more of the funds mentioned herein.

Past performance is not indicative of future performance. The value of investments may be subject to fluctuations and, under certain circumstances, investors may not get back the full amount invested. Changes in foreign-exchange rates may also cause the value of investments to go up or down. Nothing contained herein constitutes investment, legal, tax or other advice nor is to be relied on in making an investment or other decision. Please consult your tax or investment advisor before investing according to this presentation.

Julius Baer Multistock and Julius Baer Multibond are recognised collective investment schemes under section 264 of the UK Financial Services and Markets Act 2000, and potential investors in the United Kingdom are advised that the protections available under the Financial Services Compensation Scheme are not available for investments made in these funds. Julius Baer Multistock and Julius Baer Multibond are umbrella funds with segregated liability between subfunds. Shares in Julius Baer Multistock and Julius Baer Multibond are not available for sale in any state or jurisdiction in which such sale would be prohibited.

Before making an investment decision, investors should read the prospectus for Julius Baer Multistock or Julius Baer Multibond umbrella. Copies of the respective prospectus and financial statements can be obtained from Julius Baer International Limited, 64 St James’s Street, London SW1A 1NF (authorised and regulated by the Financial Services Authority).

17

Disclaimer

This document is issued in the UK by Augustus Asset Managers Limited (“Augustus”), which is authorised and regulated by the Financial Services Authority in the UK (“FSA”).

This document is directed only at (a) eligible counterparties or professional clients for the purposes of the FSA’s Rules, and (b) persons outside the United Kingdom.

The investment described herein has not been registered under the Investment Company Act of 1940, as amended (the “Company Act”), and the shares therein have not been registered under the Securities Act of 1933 (“1933 Act”), or any state or foreign securities laws. These interests will be offered and sold only to “qualified purchasers” for purposes of section 3(c)(7) of the Company Act, who are “accredited investors” as defined in Regulation D under the 1933 Act.

To the extent that this document is issued by Augustus, the investments referred to in it are only available only to the above persons, and no other person should rely on this document. Shares in the Fund are not available for sale in any state or jurisdiction in which such sale would be prohibited. Subscriptions will only be received and shares issued on the basis of the current prospectus for the Fund.

This document is intended solely for the use of the person to whom it is sent and may not be reproduced or distributed to any other person. The content of this document is based upon sources of information believed to be reliable. However, no representation, undertaking or warranty (express or implied) is given as to its accuracy or completeness, and the content may change without notice.

18

Stephen MooreHead Sales UK (Asset Management)

Rainer N GruenigHead Business Development UK (Asset Management)

Julius Baer International Limited64 St James's StreetLondon SW1A 1NF Authorised and regulated by the Financial Services Authority. Registered in England, Company No. 01120330

Direct Telephone: +44 (0) 20 7166 8176Mobile: +44 (0) 77 4777 5236E-Mail address: [email protected]

Direct Telephone: +44 (0) 20 7166 8180Mobile: +44 (0) 78 9668 2449E-Mail address: [email protected]

Phone: +440(0) 20 7166 8100Fax: +44 (0) 20 7629 5931

19

AUGUSTUS ASSET MANAGERS LIMITEDBevis Marks House

24 Bevis MarksLondon, EC3A 7NR

Telephone +44 (0) 20 7711 6666Fax +44 (0) 20 7929 1030

Authorised and regulated by the Financial Services Authority

Economy & Finance

Tim Haywood, Julius Baer